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The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions

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Cited by:

  1. Stefan Profit & Stefan Sperlich, 2004. "Non-uniformity of job-matching in a transition economy - A nonparametric analysis for the Czech Republic," Applied Economics, Taylor & Francis Journals, vol. 36(7), pages 695-714.
  2. Dong, Chaohua & Linton, Oliver, 2018. "Additive nonparametric models with time variable and both stationary and nonstationary regressors," Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
  3. Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
  4. Horowitz, Joel L., 2004. "Semiparametric models," Papers 2004,17, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
  5. Lin, Lu & Song, Yunquan & Liu, Zhao, 2014. "Local linear–additive estimation for multiple nonparametric regressions," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 252-269.
  6. Grasshoff, Ulrike & Schwalbach, Joachim, 1999. "Executive pay and corporate financial performance. An exploratiove data analysis," DES - Working Papers. Statistics and Econometrics. WS 6382, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series 1332, University of St. Gallen, School of Economics and Political Science.
  8. Linton, Oliver & Mammen, Enno & Nielsen, Jens Perch & Tanggaard, Carsten, 1998. "Estimating yield curves by Kernel smoothing methods," SFB 373 Discussion Papers 1999,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Xia Cui & Heng Peng & Songqiao Wen & Lixing Zhu, 2013. "Component Selection in the Additive Regression Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 491-510, September.
  10. Wang, Li & Wang, Suojin, 2011. "Nonparametric additive model-assisted estimation for survey data," Journal of Multivariate Analysis, Elsevier, vol. 102(7), pages 1126-1140, August.
  11. Fei Liu & Jiti Gao & Yanrong Yang, 2020. "Time-Varying Panel Data Models with an Additive Factor Structure," Monash Econometrics and Business Statistics Working Papers 42/20, Monash University, Department of Econometrics and Business Statistics.
  12. Carroll, Raymond J. & Härdle, Wolfgang & Mammen, Enno, 1999. "Estimation in an additive model when the components are linked parametrically," SFB 373 Discussion Papers 1999,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  13. Vanhems, Anne & Van Keilegom, Ingrid, 2019. "Estimation Of A Semiparametric Transformation Model In The Presence Of Endogeneity," Econometric Theory, Cambridge University Press, vol. 35(1), pages 73-110, February.
  14. Stefan Sperlich & Raoul Theler, 2015. "Modeling heterogeneity: a praise for varying-coefficient models in causal analysis," Computational Statistics, Springer, vol. 30(3), pages 693-718, September.
  15. Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2014. "Testing for additivity in partially linear regression with possibly missing responses," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 51-61.
  16. Woocheol Kim, 2004. "Identification And Estimation Of Nonparametric Structural," Econometric Society 2004 Far Eastern Meetings 733, Econometric Society.
  17. Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
  18. repec:hum:wpaper:sfb649dp2005-047 is not listed on IDEAS
  19. Yang, Lijian & Park, Byeong U. & Xue, Lan & Hardle, Wolfgang, 2006. "Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1212-1227, September.
  20. Mammen, Enno & Martínez-Miranda, María Dolores & Nielsen, Jens Perch & Vogt, Michael, 2021. "Calendar effect and in-sample forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 31-52.
  21. Gayle, Wayne-Roy & Namoro, Soiliou Daw, 2013. "Estimation of a nonlinear panel data model with semiparametric individual effects," Journal of Econometrics, Elsevier, vol. 175(1), pages 46-59.
  22. Hao Dong & Taisuke Otsu & Luke Taylor, 2022. "Nonparametric estimation of additive models with errors-in-variables," Econometric Reviews, Taylor & Francis Journals, vol. 41(10), pages 1164-1204, November.
  23. Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
  24. Yang, Lijian & Hardle, Wolfgang, 2000. "Derivative estimation and testing in generalized additive models," DES - Working Papers. Statistics and Econometrics. WS 10084, Universidad Carlos III de Madrid. Departamento de Estadística.
  25. Lee, Kyeongeun & Lee, Young K. & Park, Byeong U. & Yang, Seong J., 2018. "Time-dynamic varying coefficient models for longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 123(C), pages 50-65.
  26. repec:awi:wpaper:0473 is not listed on IDEAS
  27. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
  28. Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2004. "Bootstrap Inference In Semiparametric Generalized Additive Models," Econometric Theory, Cambridge University Press, vol. 20(2), pages 265-300, April.
  29. Henderson, Daniel J. & Carroll, Raymond J. & Li, Qi, 2008. "Nonparametric estimation and testing of fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 144(1), pages 257-275, May.
  30. Huang, Zhensheng & Zhang, Riquan, 2009. "Efficient estimation of adaptive varying-coefficient partially linear regression model," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 943-952, April.
  31. Lin, Huazhen & Pan, Lixian & Lv, Shaogao & Zhang, Wenyang, 2018. "Efficient estimation and computation for the generalised additive models with unknown link function," Journal of Econometrics, Elsevier, vol. 202(2), pages 230-244.
  32. Kim, Woocheol & Linton, Oliver, 2003. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 2028, London School of Economics and Political Science, LSE Library.
  33. Rui Li & Yuanyuan Zhang, 2021. "Two-stage estimation and simultaneous confidence band in partially nonlinear additive model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(8), pages 1109-1140, November.
  34. repec:hum:wpaper:sfb649dp2010-059 is not listed on IDEAS
  35. Grith, Maria & Härdle, Wolfgang Karl & Schienle, Melanie, 2010. "Nonparametric estimation of risk-neutral densities," SFB 649 Discussion Papers 2010-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  36. Tu, Yundong & Wang, Ying, 2022. "Spurious functional-coefficient regression models and robust inference with marginal integration," Journal of Econometrics, Elsevier, vol. 229(2), pages 396-421.
  37. Oliver Linton & Gregory Connor, 2000. "Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns," FMG Discussion Papers dp346, Financial Markets Group.
  38. Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 2002. "Nonparametric Estimation And Testing Of Interaction In Additive Models," Econometric Theory, Cambridge University Press, vol. 18(2), pages 197-251, April.
  39. Linton, Oliver B. & Mammen, Enno, 2008. "Nonparametric transformation to white noise," Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
  40. Mammen, Enno & Park, Byeong U. & Schienle, Melanie, 2012. "Additive models: Extensions and related models," SFB 649 Discussion Papers 2012-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  41. Joel L. Horowitz, 2012. "Nonparametric additive models," CeMMAP working papers CWP20/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  42. Qian Huang & Jinhong You & Liwen Zhang, 2022. "Efficient inference of longitudinal/functional data models with time‐varying additive structure," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 744-771, June.
  43. Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
  44. Song, Qiongxia & Yang, Lijian, 2010. "Oracally efficient spline smoothing of nonlinear additive autoregression models with simultaneous confidence band," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2008-2025, October.
  45. Han, Kyunghee & Lee, Young K. & Park, Byeong U., 2020. "Smooth backfitting for errors-in-variables varying coefficient regression models," Computational Statistics & Data Analysis, Elsevier, vol. 145(C).
  46. Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014. "Semiparametric methods in nonlinear time series analysis: a selective review," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
  47. repec:hum:wpaper:sfb649dp2012-042 is not listed on IDEAS
  48. Michael Vogt, 2012. "Nonparametric regression for locally stationary time series," CeMMAP working papers CWP22/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  49. Théophile T. Azomahou & Raouf Boucekkine & Bity Diene, 2009. "A closer look at the relationship between life expectancy and economic growth," International Journal of Economic Theory, The International Society for Economic Theory, vol. 5(2), pages 201-244, June.
  50. Peroni Chiara, 2009. "A Non-Parametric Investigation of Risk Premia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-52, September.
  51. Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
  52. Fengler, M.R. & Mammen, E. & Vogt, M., 2015. "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, vol. 188(1), pages 196-218.
  53. Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
  54. Vanhems, Anne & Van Keilegom, Ingrid, 2013. "Semiparametric transformation model with endogeneity: a control function approach," LIDAM Discussion Papers ISBA 2013018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  55. repec:hum:wpaper:sfb649dp2012-045 is not listed on IDEAS
  56. Häggström, Jenny, 2013. "Bandwidth selection for backfitting estimation of semiparametric additive models: A simulation study," Computational Statistics & Data Analysis, Elsevier, vol. 62(C), pages 136-148.
  57. Zhengyan Lin & Degui Li & Jiti Gao, 2009. "Local Linear M‐estimation in non‐parametric spatial regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 286-314, May.
  58. Joel L. Horowitz & Enno Mammen, 2002. "Nonparametric estimation of an additive model with a link function," CeMMAP working papers CWP19/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  59. repec:wrk:warwec:991 is not listed on IDEAS
  60. Wang, Qihua & Härdle, Wolfgang & Linton, Oliver, 2002. "Semiparametric regression analysis under imputation for missing response data," SFB 373 Discussion Papers 2002,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  61. Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021. "Estimation of a nonparametric model for bond prices from cross-section and time series information," Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
  62. repec:hum:wpaper:sfb649dp2010-021 is not listed on IDEAS
  63. Gao, Jiti & Lu, Zudi & Tjostheim, Dag, 2003. "Estimation in semiparametric spatial regression," MPRA Paper 11971, University Library of Munich, Germany.
  64. O. Linton & E. Mammen, 2005. "Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods," Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
  65. Vanhems, Anne & Van Keilegom, Ingrid, 2011. "Semiparametric transformation model with endogeneity: a control function approach," LIDAM Discussion Papers ISBA 2011011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  66. Holger Dette & Matthias Guhlich & Natalie Neumeyer, 2015. "Testing for additivity in nonparametric quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 437-477, June.
  67. Van Keilegom, Ingrid & Vanhems, Anne, 2011. "Semiparametric transformation model with endogeneity: a control function approach," TSE Working Papers 11-243, Toulouse School of Economics (TSE).
  68. Hao Dong & Taisuke Otsu, 2018. "Nonparametric Estimation of Additive Model with Errors-in-Variables," STICERD - Econometrics Paper Series 600, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  69. Li, Cong & Liang, Zhongwen, 2015. "Asymptotics for nonparametric and semiparametric fixed effects panel models," Journal of Econometrics, Elsevier, vol. 185(2), pages 420-434.
  70. Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
  71. Gutknecht, Daniel, 2012. "Do Reservation Wages Decline Monotonically? A Novel Statistical Test," Economic Research Papers 270635, University of Warwick - Department of Economics.
  72. Jing Wang & Lijian Yang, 2009. "Efficient and fast spline-backfitted kernel smoothing of additive models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 663-690, September.
  73. Andrew Jeffrey, 2004. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 251-289.
  74. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  75. Fernández, Ana I. & Rodríguez-Póo, Juan M. & Sperlich, Stefan, 1998. "Semiparametric three step estimation methods in labor supply models," SFB 373 Discussion Papers 1998,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  76. Joel L. Horowitz & Enno Mammen, 2002. "Nonparametric estimation of an additive model with a link function," CeMMAP working papers 19/02, Institute for Fiscal Studies.
  77. Guo, Zheng-Feng & Shintani, Mototsugu, 2011. "Nonparametric lag selection for nonlinear additive autoregressive models," Economics Letters, Elsevier, vol. 111(2), pages 131-134, May.
  78. Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
  79. Lu, Zudi & Lundervold, Arvid & Tjøstheim, Dag & Yao, Qiwei, 2007. "Exploring spatial nonlinearity using additive approximation," LSE Research Online Documents on Economics 5401, London School of Economics and Political Science, LSE Library.
  80. Rodriguez Poo, Juan M. & Vieu, Philippe, 2000. "Semiparametric estimation of weak and strong separable models," DES - Working Papers. Statistics and Econometrics. WS 10064, Universidad Carlos III de Madrid. Departamento de Estadística.
  81. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2012. "Generated covariates in nonparametric estimation: A short review," SFB 649 Discussion Papers 2012-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  82. Hengartner, Nicolas W. & Sperlich, Stefan, 2005. "Rate optimal estimation with the integration method in the presence of many covariates," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 246-272, August.
  83. Suphi Sen & Bertrand Melenberg & Herman R. J. Vollebergh, 2016. "Identification and Estimation of the Environmental Kuznets Curve: Pairwise Differencing to Deal with Nonlinearity and Nonstationarity," CESifo Working Paper Series 5837, CESifo.
  84. Martins-Filho, Carlos & yang, ke, 2007. "Finite sample performance of kernel-based regression methods for non-parametric additive models under common bandwidth selection criterion," MPRA Paper 39295, University Library of Munich, Germany.
  85. Schimek, Michael G. & Turlach, Berwin A., 1998. "Additive and generalized additive models: A survey," SFB 373 Discussion Papers 1998,97, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  86. Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
  87. Hu, Lixia & Huang, Tao & You, Jinhong, 2019. "Two-step estimation of time-varying additive model for locally stationary time series," Computational Statistics & Data Analysis, Elsevier, vol. 130(C), pages 94-110.
  88. Juhyun Park & Burkhardt Seifert, 2010. "Local additive estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(2), pages 171-191, March.
  89. Mammen, Enno & Martínez Miranda, María Dolores & Nielsen, Jens Perch, 2015. "In-sample forecasting applied to reserving and mesothelioma mortality," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 76-86.
  90. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  91. Rüdiger Krause & Gerhard Tutz, 2006. "Genetic algorithms for the selection of smoothing parameters in additive models," Computational Statistics, Springer, vol. 21(1), pages 9-31, March.
  92. Joel L. Horowitz, 2012. "Nonparametric additive models," CeMMAP working papers 20/12, Institute for Fiscal Studies.
  93. Green, Carl & Long, Wei & Hsiao, Cheng, 2015. "Testing error serial correlation in fixed effects nonparametric panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 466-473.
  94. Horowitz, Joel L. & Mammen, Enno, 2002. "Nonparametric estimation of an additive model with a link function," SFB 373 Discussion Papers 2002,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  95. Byeong U. Park & Enno Mammen & Young K. Lee & Eun Ryung Lee, 2015. "Varying Coefficient Regression Models: A Review and New Developments," International Statistical Review, International Statistical Institute, vol. 83(1), pages 36-64, April.
  96. Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
  97. Stefan Sperlich, 2014. "On the choice of regularization parameters in specification testing: a critical discussion," Empirical Economics, Springer, vol. 47(2), pages 427-450, September.
  98. Berthold R. Haag, 2008. "Non‐parametric Regression Tests Using Dimension Reduction Techniques," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 719-738, December.
  99. Stefan Sperlich & Oliver Linton & Wolfgang Härdle, 1999. "Integration and backfitting methods in additive models-finite sample properties and comparison," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 419-458, December.
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  102. Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "A semiparametric model for heterogeneous panel data with fixed effects," CeMMAP working papers 02/13, Institute for Fiscal Studies.
  103. Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.
  104. Abhijit Mandal, 2020. "An optimal test for the additive model with discrete or categorical predictors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1397-1417, December.
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